0RobExtremes-package: RobExtremes - Optimally Robust Estimation for Extreme Value...

Description Details Classes Functions Generating Functions Methods Constants Start-up-Banner Package versions Author(s) References See Also

Description

RobExtremes provides infrastructure for optimally robust estimation for extreme value distributions, extending packages distr, distrEx, distrMod, robustbase, RobAStBase, and ROptEst. Importing from packages actuar, evd, it provides S4 classes and methods for

together with particular methods for expectations (as in package distrEx) —with particular integrators for GPD and GEVD—, variances, median, IQR, skewness, kurtosis. In addition, extending estimators Sn and Qn from package robustbase, we provide functionals for Sn and Qn. A new asymmetric version of the mad, kMAD gives yet another robust scale estimator (and functional).

As to models, we provide the GPD model, together with (speeded-up) optimally robust estimators, with LDEstimators (in general, and with medkMAD, medSn and medQn as particular ones) as starting estimators.

Details

Package: RobExtremes
Version: 1.0
Date: 2016-09-05
Depends: R (>= 2.14.0), methods, distrMod(>= 2.5.2), ROptEst(>= 1.0), robustbase(>= 0.8-0), evd, actuar
Suggests: ismev (>= 1.39)
Imports: RobAStRDA, distr, distrEx, RandVar, RobAStBase, startupmsg
ByteCompile: yes
License: LGPL-3
URL: http://robast.r-forge.r-project.org/
SVNRevision: 694

Classes

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[*]: there is a generating function with the same name in this package

##########################
Distribution Classes
##########################

"Distribution" (from distr)
|>"UnivariateDistribution" (from distr)
|>|>"AbscontDistribution" (from distr)
|>|>|>"Gumbel"    [*]
|>|>|>"Pareto"    [*]
|>|>|>"GPareto"   [*]
|>|>|>"GEVD"      [*]


##########################
Parameter Classes
##########################

"OptionalParameter" (from distr)
|>"Parameter" (from distr)
|>|>"GumbelParameter"
|>|>"ParetoParameter"
|>|>"GEVDParameter"
|>|>"GParetoParameter"

##########################
ProbFamily classes
##########################
slots: [<name>(<class>)]

"ProbFamily"                                  (from distrMod)
|>"ParamFamily"                               (from distrMod)
|>|>"L2ParamFamily"                           (from distrMod)
|>|>|>"L2GroupParamFamily"                    (from distrMod)
|>|>|>|>"ParetoFamily"                  [*]
|>|>|>|>"L2ScaleShapeUnion"                   (from distrMod)
|>|>|>|>|>"GParetoFamily"               [*]
|>|>|>|>|>"GEVFamily"                   [*]
|>|>|>|>|>"WeibullFamily"               [*]
|>|>|>|>"L2LocationScaleUnion"  /VIRTUAL/     (from distrMod)
|>|>|>|>|>"L2LocationFamily"                  (from distrMod)
|>|>|>|>|>|>"GumbelLocationFamily"      [*]

Functions

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LDEstimator   Estimators for scale-shape models based on location and dispersion
medSn                    loc=median disp=Sn
medQn                    loc=median disp=Qn
medkMAD                  loc=median disp=kMAD
asvarMedkMAD               [asy. variance to MedkMADE]
PickandsEstimator        PickandsEstimator
asvarPickands              [asy. variance to PickandsE]
QuantileBCCEstimator     Quantile based estimator for the Weibull distribution
asvarQBCC                  [asy. variance to QuantileBCCE]

Generating Functions

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Methods

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Functionals:
E                       Generic function for the computation of
                        (conditional) expectations
var                     Generic functions for the computation of
                        functionals
IQR                     Generic functions for the computation of
                        functionals
median                  Generic functions for the computation of
                        functionals
skewness                Generic functions for the computation of
                        functionals
kurtosis                Generic functions for the computation of
                        Functionals
Sn                       Generic function for the computation of
                        (conditional) expectations
Qn                     Generic functions for the computation of
                        functionals

Constants

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Start-up-Banner

You may suppress the start-up banner/message completely by setting options("StartupBanner"="off") somewhere before loading this package by library or require in your R-code / R-session.

If option "StartupBanner" is not defined (default) or setting options("StartupBanner"=NULL) or options("StartupBanner"="complete") the complete start-up banner is displayed.

For any other value of option "StartupBanner" (i.e., not in c(NULL,"off","complete")) only the version information is displayed.

The same can be achieved by wrapping the library or require call into either suppressStartupMessages() or onlytypeStartupMessages(.,atypes="version").

As for general packageStartupMessage's, you may also suppress all the start-up banner by wrapping the library or require call into suppressPackageStartupMessages() from startupmsg-version 0.5 on.

Package versions

Note: The first two numbers of package versions do not necessarily reflect package-individual development, but rather are chosen for the RobAStXXX family as a whole in order to ease updating "depends" information.

Author(s)

Peter Ruckdeschel [email protected],
Matthias Kohl [email protected], and
Nataliya Horbenko [email protected],

Maintainer: Peter Ruckdeschel [email protected]

References

M. Kohl (2005): Numerical Contributions to the Asymptotic Theory of Robustness. PhD Thesis. Bayreuth. Available as http://www.stamats.de/ThesisMKohl.pdf

P. Ruckdeschel, M. Kohl, T. Stabla, F. Camphausen (2006): S4 Classes for Distributions, R News, 6(2), 2-6. https://CRAN.R-project.org/doc/Rnews/Rnews_2006-2.pdf

M.~Kohl, P. Ruckdeschel, H.~Rieder (2010): Infinitesimally Robust Estimation in General Smoothly Parametrized Models. Stat. Methods Appl., 19, 333–354.

Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in Generalized Pareto Models. ArXiv 1005.1476. To appear at Statistics. DOI: 10.1080/02331888.2011.628022.

Ruckdeschel, P. and Horbenko, N. (2012): Yet another breakdown point notion: EFSBP –illustrated at scale-shape models. Metrika, 75(8), 1025–1047.

a vignette for packages distr, distrSim, distrTEst, and RobExtremes is included into the mere documentation package distrDoc and may be called by require("distrDoc");vignette("distr")

a homepage to this package is available under
http://robast.r-forge.r-project.org/

See Also

distr-package, distrEx-package, distrMod-package, RobAStBase-package, ROptEst-package


RobExtremes documentation built on May 31, 2017, 1:39 a.m.